Browsing by Author "Athayde, Gustavo M. de"
Now showing items 1-7 of 7
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A CAPM with higher moments: theory and econometrics
1997-10-01We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, ... -
Do higher moments really matter in portfolio choice?
2004-12-01We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ... -
Duration: novas considerações
1996-02-29 -
Estimando os fatores da ETTJ implícitos nos derivativos de juros: uma abordagem forward-looking
2019-09Usando uma parametrização simples do modelo HJM, é desenvolvido um arcabouço teórico que além de entregar soluções analíticas fechadas para as opções de DI e FRA-DI, permite-nos enxergar através de uma geometria tridimensional ... -
Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
2001-09-10Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ... -
Introducing higher moments in the CAPM: some basic ideas
1999-11-01We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ... -
On certain geometric aspects of portfolio optimisation with higher moments
2002-08-05We discuss geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short sales. The findings are generalised for the minimisation ...
